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Decreased circulating melatonin is implicated in depression. We recently found that Zucker diabetic fatty rats (ZDF, fa/fa) develop depression-like behaviors and that transcutaneous auricular vagus nerve stimulation (taVNS) is antidepressive in ZDF rats. Here we studied whether the ZDF rats could be used as a depression rodent model and whether the antidepressive effect of taVNS is mediated through modulation of melatonin secretion. Adult male ZDF and Zucker lean (ZL, fa/+) littermates were used. 30 min-taVNS procedures (2/15 Hz, 2 mA) were administered once daily under anesthesia for 34 consecutive days in pineal intact ZDF (n = 8) and ZL (n = 6) rats, as well as in pinealectomized ZDF rats (n = 8). Forced swimming test (FST) was used to determine depression-like behavior and ELISA to detect plasma melatonin concentration on day 35. We found that naïve ZDF rats had a longer immobility time in FST and that long-term (34 days) taVNS treatment ameliorated the depression-like behavior. In both pineal intact and pinealectomized ZDF rats, taVNS induced acute melatonin secretion, both during and after the taVNS session. A low melatonin level is related to the poor FST performance in ZDF rats (R = -0.544) in contrast to ZL rats (R = 0.247). In conclusion, our results show that ZDF rats are ideal candidates of innate depression and that taVNS is antidepressive through triggering melatonin secretion and increasing its production.